Is geopolitical risk priced in the cross-section of cryptocurrency returns?

被引：28
|
作者：
Long, Huaigang [1 ]
Demir, Ender [2 ,6 ]
Bedowska-Sojka, Barbara [3 ]
Zaremba, Adam [4 ,5 ]
Shahzad, Syed Jawad Hussain [4 ]
机构：
[1] Zhejiang Univ Finance & Econ, Sch Finance, 18 Xueyuan St, Hangzhou 310018, Zhejiang, Peoples R China
[2] Reykjavik Univ, Sch Social Sci, Dept Business Adm, Menntavegur 1, 102, IS-101 Reykjavik, Iceland
[3] Poznan Univ Econ & Business, Inst Informat & Quantitat Econ, Dept Econometr, al Niepodleglosci 10, PL-61875 Poznan, Poland
[4] Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier 4, France
[5] Poznan Univ Econ & Business, Inst Finance, Dept Investment & Financial Markets, al Niepodleglosci 10, PL-61875 Poznan, Poland
[6] Tomas Bata Univ Zlin, Zlin, Czech Republic
来源：
FINANCE RESEARCH LETTERS | 2022年 / 49卷
关键词：
Cryptocurrencies; The cross-section of returns; Asset pricing; Geopolitical risk; Return predictability; VOLATILITY;
D O I：
10.1016/j.frl.2022.103131
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine the role of geopolitical risk in the cross-sectional pricing of cryptocurrencies. We calculate cryptocurrency exposure to changes in the geopolitical risk index and document that coins with the lowest geopolitical beta outperform those with high geopolitical beta. Our findings suggest that risk-averse investors require additional compensation as motivation to hold cryptocurrencies with low and negative geopolitical betas, and they are willing to pay a premium for assets with high and positive geopolitical betas. The effect cannot be explained by known return predictors and is robust to many considerations.
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页数：8
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